On infinite dimensional Ito’s formula

Lin, T. F.

doi:10.1090/S0002-9939-1975-0380984-6

On infinite dimensional Ito’s formula
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by T. F. Lin PDF

Proc. Amer. Math. Soc. 49 (1975), 219-226 Request permission

Abstract:

Ito’s formula for $Y(t)g(t,\xi (t))$ is given where $g$ is a Hilbert space valued function, $\xi (t)$ is a diffusion on Hilbert space and $Y(t)$ is an operator-valued stochastic integral w.r.t. $\xi (t)$. A stochastic integral representation for solution of a certain second order parabolic equation is also given.

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